【金融与能源的随机优化】 Stochastic Optimization Methods in Finance and Energy

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Stochastic Optimization Methods in Finance and Energy
New Financial Products and Energy Market Strategies

Editors: Marida Bertocchi, Giorgio Consigli, Michael A. H. Dempster



First collection of real-world case studies formulated and solved as multistage stochastic programs in both the energy and financial sectors

Extended analysis of new financial products and related dynamic optimization problems for institutional investors such as pension funds and insurance companies

Editors and contributors are leaders in the field

This volume presents a collection of contributions dedicated to applied problems in the financial and energy sectors that have been formulated and solved in a stochastic optimization framework. The invited authors represent a group of scientists and practitioners, who cooperated in recent years to facilitate the growing penetration of stochastic programming techniques in real-world applications, inducing a significant advance over a large spectrum of complex decision problems.

After the recent widespread liberalization of the energy sector in Europe and the unprecedented growth of energy prices in international commodity markets, we have witnessed a significant convergence of strategic decision problems in the energy and financial sectors. This has often resulted in common open issues and has induced a remarkable effort by the industrial and scientific communities to facilitate the adoption of advanced analytical and decision tools. The main concerns of the financial community over the last decade have suddenly penetrated the energy sector inducing a remarkable scientific and practical effort to address previously unforeseeable management problems. Stochastic Optimization Methods in Finance and Energy: New Financial Products and Energy Markets Strategies aims to include in a unified framework for the first time an extensive set of contributions related to real-world applied problems in finance and energy, leading to a common methodological approach and in many cases having similar underlying economic and financial implications.

Part 1 of the book presents 6 chapters related to financial applications; Part 2 presents 7 chapters on energy applications; and Part 3 presents 5 chapters devoted to specific theoretical and computational issues.

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关键词：Optimization Stochastic Stochast Methods Finance collection companies insurance products problems

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Stochastic Optimization Methods in Finance and Energy

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